chemavx
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schema.sql
trades: + close_pnl, resolution (market outcome storage)
metrics_daily: + unrealized_pnl_est, realized_pnl, open/closed/resolved_count
db.py
close_paper_position(): accepts resolution; computes close_pnl in SQL
BUY_YES: (resolution − entry_price) × shares
BUY_NO: ((1 − resolution) − entry_price) × shares
save_daily_metrics(): persists new columns
compute_metrics_from_db(): single DB query for all metrics; no in-memory state
tracker.py — complete rewrite (stateless)
Removed self._trades, self._daily_returns, compute_metrics(), _compute_sharpe(),
check_promotion_thresholds(), _empty_metrics()
update_daily_summary() now reads compute_metrics_from_db() every cycle
Safe across pod restarts: always reflects full DB history
paper.py
close_position(): passes resolution to close_paper_position()
api/main.py /api/summary
Added unrealized_pnl_est (estimated, open trades) and realized_pnl (exact,
closed+resolved) as separate fields alongside total_pnl
win_rate: null if < 5 resolved trades (was proxy on entry_price < 0.5)
calibration_score: Brier-based, null if < 10 resolved trades
resolved_count exposed as field
Each field annotated with: exact/estimated, source, null conditions
Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
138 lines
8.4 KiB
SQL
138 lines
8.4 KiB
SQL
-- Polymarket Bot Database Schema
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CREATE TABLE IF NOT EXISTS trades (
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id TEXT PRIMARY KEY,
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market_id TEXT NOT NULL,
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question TEXT NOT NULL,
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direction TEXT NOT NULL, -- BUY_YES | BUY_NO
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size_usdc DOUBLE PRECISION,
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entry_price DOUBLE PRECISION,
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shares DOUBLE PRECISION,
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fee_usdc DOUBLE PRECISION,
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net_cost DOUBLE PRECISION,
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timestamp TIMESTAMPTZ NOT NULL,
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reasoning TEXT,
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paper BOOLEAN DEFAULT TRUE
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);
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CREATE TABLE IF NOT EXISTS metrics_daily (
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id SERIAL PRIMARY KEY,
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timestamp TIMESTAMPTZ NOT NULL,
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total_trades INTEGER,
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total_deployed DOUBLE PRECISION,
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total_fees DOUBLE PRECISION,
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total_pnl DOUBLE PRECISION,
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win_rate DOUBLE PRECISION,
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avg_edge DOUBLE PRECISION,
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sharpe_ratio DOUBLE PRECISION,
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calibration_score DOUBLE PRECISION,
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paper_mode BOOLEAN DEFAULT TRUE
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);
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CREATE TABLE IF NOT EXISTS markets (
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id TEXT PRIMARY KEY,
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condition_id TEXT,
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question TEXT NOT NULL,
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category TEXT,
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end_date TEXT,
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active BOOLEAN DEFAULT TRUE,
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last_seen TIMESTAMPTZ DEFAULT NOW()
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);
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CREATE TABLE IF NOT EXISTS signals (
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id SERIAL PRIMARY KEY,
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market_id TEXT NOT NULL,
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timestamp TIMESTAMPTZ NOT NULL,
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polymarket_price DOUBLE PRECISION,
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estimated_prob DOUBLE PRECISION,
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edge DOUBLE PRECISION,
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confidence DOUBLE PRECISION,
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direction TEXT,
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acted_on BOOLEAN DEFAULT FALSE
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);
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CREATE INDEX IF NOT EXISTS idx_trades_timestamp ON trades(timestamp DESC);
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CREATE INDEX IF NOT EXISTS idx_trades_market ON trades(market_id);
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CREATE INDEX IF NOT EXISTS idx_metrics_timestamp ON metrics_daily(timestamp DESC);
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CREATE INDEX IF NOT EXISTS idx_signals_timestamp ON signals(timestamp DESC);
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Phase 1 migrations: edge neto real
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--
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-- spread_estimate and commission are HEURISTICS, not exact Polymarket exchange
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-- costs. spread_estimate ≈ estimated half-spread for medium-liquidity markets.
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-- commission = COMMISSION_RATE (0.02) * size_usdc — mirrors Polymarket taker fee.
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-- edge_net = edge_gross - spread_estimate - commission/size_usdc
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-- = edge_gross - 0.02 - 0.02 (always 0.04 deduction at current rates)
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--
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-- These are stored per-trade so we can audit whether the model's cost assumptions
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-- were met in practice once markets resolve.
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS edge_gross DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS edge_net DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS prior_prob DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS final_prob DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS mid_price DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS spread_estimate DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS commission DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS family_key TEXT;
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Phase 2 / Phase 5 migrations: market families + observability
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--
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-- Signals table extended so each evaluated market carries its audit trail:
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-- skip_reason — why the market was not traded ("edge_net", "family",
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-- "gnews_priority", "regime", "prior_extreme", etc.)
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-- passed_gross — True if edge_gross alone met regime_min_edge
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-- passed_net — True if edge_net met regime_min_edge (the actual gate)
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-- family_key — market family slug (e.g. "texas-republican-2026")
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-- regime_min_edge — threshold that applied to this market/category
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS edge_gross DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS edge_net DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS family_key TEXT;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS regime_min_edge DOUBLE PRECISION;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS skip_reason TEXT;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS passed_gross BOOLEAN;
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ALTER TABLE signals ADD COLUMN IF NOT EXISTS passed_net BOOLEAN;
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CREATE INDEX IF NOT EXISTS idx_signals_market ON signals(market_id);
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CREATE INDEX IF NOT EXISTS idx_trades_family ON trades(family_key);
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Position lifecycle: legacy scan can close erroneous paper positions.
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-- closed_at IS NULL → position is open (all open-position queries filter this).
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-- closed_at NOT NULL → position closed; close_reason explains why.
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS closed_at TIMESTAMPTZ;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS close_reason TEXT;
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CREATE INDEX IF NOT EXISTS idx_trades_closed ON trades(closed_at) WHERE closed_at IS NOT NULL;
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Fix 3: market resolution and realized P&L per trade
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--
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-- resolution: 1.0 if YES resolved, 0.0 if NO resolved, NULL if not yet settled.
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-- close_pnl: realized P&L in USDC at close time.
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-- BUY_YES: (resolution - entry_price) * shares
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-- BUY_NO: ((1 - resolution) - entry_price) * shares
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-- NULL if closed without a known resolution (legacy closes, inversion fixes).
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS close_pnl DOUBLE PRECISION;
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ALTER TABLE trades ADD COLUMN IF NOT EXISTS resolution DOUBLE PRECISION;
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-- ─────────────────────────────────────────────────────────────────────────────
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-- Fix 3: extended metrics_daily columns for DB-computed metrics
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--
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-- unrealized_pnl_est: SUM(edge_net * net_cost - fee) on open trades with edge_net.
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-- Estimated — uses model's own edge signal, not live market price.
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-- realized_pnl: SUM(close_pnl) on closed trades with a known resolution.
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-- Exact — derived from actual market outcome.
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-- open_count / closed_count / resolved_count: trade counts at snapshot time.
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-- ─────────────────────────────────────────────────────────────────────────────
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ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS unrealized_pnl_est DOUBLE PRECISION;
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ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS realized_pnl DOUBLE PRECISION;
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ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS open_count INTEGER;
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ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS closed_count INTEGER;
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ALTER TABLE metrics_daily ADD COLUMN IF NOT EXISTS resolved_count INTEGER;
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